I think the most important thing is to use music that you know very well and that you can respond to emotionally. It needn't be well-produced...most systems will sound good with good recordings...more telling is what poorer recordings sound like.
I keep meaning to make a "reference CD" that will test specific areas, but I always seem to just end up listening to whatever I'm enjoying at the time. A good mix of acoustic/electric/electronic, live/studio recordings is a good idea unless you only ever listen to a particular type of music.
Currently:
Daniel Barenboim - The Warsaw Recital (piano is always a good test)
Ali Farka Toure - The River (one of my favourite artists)
Emika - Emika (amazingly deep bass, vocals, soundstage)
Slash - Slash (recorded to analogue tape, very good guitar sound!)
Slint - Tweez (early Steve Albini production from 1989, just a sound I like)
Manu Chao - Radio Bemba Sound System (live recording, good test of instrument separation)
Bob Brozman - Blues Reflex (transients etc.)
Furrther reading:
http://www.soundonsound.com/sos/sep08/articles/referencecd.htm
http://www.digido.com/honor-roll.html